The CBD Model
Modelling, Measurement and Management of Longevity Risk and the CBD Model
Andrew Cairns is co-inventor of the
CBD stochastic mortality models
and author of the LifeMetrics open source R code
for fitting stochastic mortality models that can be used for
modelling, measurement and management of longevity risk.
Are you a user of the LifeMetrics open source R code?
If you are a user of the LifeMetrics code or a user of one of the CBD models, please
e-mail Andrew Cairns.
Why e-mail us? If we are able to report to the government
that we carry out research that has an impact on practice
in insurance, pensions, banking and investment, then we get
improved funding to carry on doing the good work.
The LifeMetrics website is no longer active.
Open source software is still available here.
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Cairns, A.J.G., Blake, D., and Dowd, K., (2006)
A two-factor model for stochastic mortality with parameter uncertainty:
Theory and calibration.
Journal of Risk and Insurance 73: 687-718.
(PDF file.)
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Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D.,
Ong, A., and Balevich, I. (2009)
A quantitative comparison of stochastic mortality models using
data from England and Wales and the United States.
- North American Actuarial Journal 13(1): 1-35.
(Reprint.)
Copyright 2009 by the Society of Actuaries, Schaumburg, Illinois. Reprinted with permission.
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Longer version (preprint, 2007)
(PDF file.)
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Cairns, A.J.G., Blake, D., Dowd, K., Coughlan, G.D., Epstein, D.,
and Khalaf-Allah, M. (2011)
Mortality density forecasts: an analysis of six stochastic mortality models.
Insurance: Mathematics and Economics, 48: 355-367.
(PDF file.)
Please e-mail me for an official reprint.
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home page.